{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "<img src=\"http://hilpisch.com/tpq_logo.png\" alt=\"The Python Quants\" width=\"35%\" align=\"right\" border=\"0\"><br>"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Financial Theory with Python\n",
    "**&mdash;A Gentle Introduction**\n",
    "\n",
    "Dr Yves J Hilpisch | The Python Quants | The AI Machine\n",
    "\n",
    "http://tpq.io | http://aimachine.io | [@dyjh](http://twitter.com/dyjh)\n",
    "\n",
    "<img src=\"https://hilpisch.com/finpy_cover.png\" width=30% border=1px align=left>"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Chapter 02 &mdash; Two State Economy"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Time"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "4"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "1 + 3"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "12"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "3 * 4"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "t = 0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "t"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "t = 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "int"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "type(t)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Money"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.5"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "1 + 0.5 "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "8.5"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10.5 - 2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [],
   "source": [
    "c = 2 + 0.75"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2.75"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "float"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "type(c)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Cash Flow"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [],
   "source": [
    "c0 = -9.5"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [],
   "source": [
    "c1 = 11.75"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [],
   "source": [
    "c = (c0, c1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(-9.5, 11.75)"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "tuple"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "type(c)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-9.5"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c[0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "11.75"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c[1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [],
   "source": [
    "c = [c0, c1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[-9.5, 11.75]"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "list"
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "type(c)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-9.5"
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c[0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "11.75"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c[1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [],
   "source": [
    "c[0] = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[10, 11.75]"
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Reuturn"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [],
   "source": [
    "c = (-10, 12)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [],
   "source": [
    "R = sum(c)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2"
      ]
     },
     "execution_count": 28,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "R"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "r = R / abs(c[0])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 30,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.2"
      ]
     },
     "execution_count": 30,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Present Value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 31,
   "metadata": {},
   "outputs": [],
   "source": [
    "i = 0.1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 32,
   "metadata": {},
   "outputs": [],
   "source": [
    "def D(c1):\n",
    "    return c1 / (1 + i)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "10.999999999999998"
      ]
     },
     "execution_count": 33,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "D(12.1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "10.0"
      ]
     },
     "execution_count": 34,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "D(11)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Net Present Value"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [],
   "source": [
    "def NPV(c):\n",
    "    return c[0] + D(c[1])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 36,
   "metadata": {},
   "outputs": [],
   "source": [
    "cA = (-10.5, 12.1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 37,
   "metadata": {},
   "outputs": [],
   "source": [
    "cB = (-10.5, 11)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 38,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.4999999999999982"
      ]
     },
     "execution_count": 38,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "NPV(cA)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 39,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-0.5"
      ]
     },
     "execution_count": 39,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "NPV(cB)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Uncertainty "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 40,
   "metadata": {},
   "outputs": [],
   "source": [
    "import numpy as np"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "metadata": {},
   "outputs": [],
   "source": [
    "c0 = -10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 42,
   "metadata": {},
   "outputs": [],
   "source": [
    "c1 = np.array((20, 5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 43,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "numpy.ndarray"
      ]
     },
     "execution_count": 43,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "type(c1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 44,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([20,  5])"
      ]
     },
     "execution_count": 44,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 45,
   "metadata": {},
   "outputs": [],
   "source": [
    "c = (c0, c1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(-10, array([20,  5]))"
      ]
     },
     "execution_count": 46,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 47,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([32. ,  9.5])"
      ]
     },
     "execution_count": 47,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "1.5 * c1 + 2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 48,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([35., 11.])"
      ]
     },
     "execution_count": 48,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "c1 + 1.5 * np.array((10, 4))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Financial Assets"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "metadata": {},
   "outputs": [],
   "source": [
    "S0 = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "metadata": {},
   "outputs": [],
   "source": [
    "S1 = np.array((12.5, 7.5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "metadata": {},
   "outputs": [],
   "source": [
    "S = (S0, S1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(10, array([12.5,  7.5]))"
      ]
     },
     "execution_count": 52,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "S"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "10"
      ]
     },
     "execution_count": 53,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "S[0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 54,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "12.5"
      ]
     },
     "execution_count": 54,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "S[1][0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 55,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "7.5"
      ]
     },
     "execution_count": 55,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "S[1][1]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Probability"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 56,
   "metadata": {},
   "outputs": [],
   "source": [
    "p = 0.4"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 57,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.6"
      ]
     },
     "execution_count": 57,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "1 - p "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 58,
   "metadata": {},
   "outputs": [],
   "source": [
    "P = np.array((p, 1-p))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 59,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0.4, 0.6])"
      ]
     },
     "execution_count": 59,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "P"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Expectation"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 60,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0.4, 0.6])"
      ]
     },
     "execution_count": 60,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "P"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 61,
   "metadata": {},
   "outputs": [],
   "source": [
    "S0 = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 62,
   "metadata": {},
   "outputs": [],
   "source": [
    "S1 = np.array((20, 5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 63,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "11.0"
      ]
     },
     "execution_count": 63,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.dot(P, S1)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Expected Return"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 64,
   "metadata": {},
   "outputs": [],
   "source": [
    "def ER(x0, x1):\n",
    "    return np.dot(P, x1) - x0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 65,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.0"
      ]
     },
     "execution_count": 65,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "ER(S0, S1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 66,
   "metadata": {},
   "outputs": [],
   "source": [
    "def mu(x0, x1):\n",
    "    return (np.dot(P, x1) - x0) / x0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 67,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.1"
      ]
     },
     "execution_count": 67,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "mu(S0, S1)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Volatility"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 68,
   "metadata": {},
   "outputs": [],
   "source": [
    "def r(x0, x1):\n",
    "    return (x1 - x0) / x0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 69,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([ 1. , -0.5])"
      ]
     },
     "execution_count": 69,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "r(S0, S1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 70,
   "metadata": {},
   "outputs": [],
   "source": [
    "mu = np.dot(P, r(S0, S1))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 71,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.10000000000000003"
      ]
     },
     "execution_count": 71,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "mu"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 72,
   "metadata": {},
   "outputs": [],
   "source": [
    "def sigma2(P, r, mu):\n",
    "    return np.dot(P, (r - mu) ** 2)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 73,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.54"
      ]
     },
     "execution_count": 73,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sigma2(P, r(S0, S1), mu)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 74,
   "metadata": {},
   "outputs": [],
   "source": [
    "def sigma(P, r, mu):\n",
    "    return np.sqrt(np.dot(P, (r - mu) ** 2))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 75,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.7348469228349535"
      ]
     },
     "execution_count": 75,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "sigma(P, r(S0, S1), mu)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Contingent Claims"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 76,
   "metadata": {},
   "outputs": [],
   "source": [
    "S1 = np.arange(20)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 77,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0, 1, 2, 3, 4, 5, 6])"
      ]
     },
     "execution_count": 77,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "S1[:7]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 78,
   "metadata": {},
   "outputs": [],
   "source": [
    "K = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 79,
   "metadata": {},
   "outputs": [],
   "source": [
    "C1 = np.maximum(S1 - K, 0)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 80,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9])"
      ]
     },
     "execution_count": 80,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "C1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 81,
   "metadata": {},
   "outputs": [],
   "source": [
    "from pylab import mpl, plt\n",
    "# plotting configuration\n",
    "plt.style.use('seaborn')\n",
    "mpl.rcParams['font.family'] = 'serif'\n",
    "%config InlineBackend.figure_formats = ['svg']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 82,
   "metadata": {},
   "outputs": [
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      "text/plain": [
       "<Figure size 720x432 with 1 Axes>"
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     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(S1, C1, lw = 3.0, label='$C_1 = \\max(S_1 - K, 0)$')\n",
    "plt.legend(loc=0)\n",
    "plt.xlabel('$S_1$')\n",
    "plt.ylabel('$C_1$');"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Replication"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 83,
   "metadata": {},
   "outputs": [],
   "source": [
    "B = (10, np.array((11, 11)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 84,
   "metadata": {},
   "outputs": [],
   "source": [
    "S = (10, np.array((20, 5)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 85,
   "metadata": {},
   "outputs": [],
   "source": [
    "M = np.array((B[1], S[1])).T"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 86,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[11, 20],\n",
       "       [11,  5]])"
      ]
     },
     "execution_count": 86,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "M"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 87,
   "metadata": {},
   "outputs": [],
   "source": [
    "K = 15"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 88,
   "metadata": {},
   "outputs": [],
   "source": [
    "C1 = np.maximum(S[1] - K, 0)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 89,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([5, 0])"
      ]
     },
     "execution_count": 89,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "C1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 90,
   "metadata": {},
   "outputs": [],
   "source": [
    "phi = np.linalg.solve(M, C1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 91,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([-0.15151515,  0.33333333])"
      ]
     },
     "execution_count": 91,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "phi"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Arbitrage Pricing "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 92,
   "metadata": {},
   "outputs": [],
   "source": [
    "C0 = np.dot(phi, (B[0], S[0]))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 93,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.8181818181818183"
      ]
     },
     "execution_count": 93,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "C0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 94,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.8181818181818183"
      ]
     },
     "execution_count": 94,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10/3 - 50/33"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Completeness"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 95,
   "metadata": {},
   "outputs": [],
   "source": [
    "from numpy.random import default_rng\n",
    "rng = default_rng(100)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 96,
   "metadata": {},
   "outputs": [],
   "source": [
    "n = 1000"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 97,
   "metadata": {},
   "outputs": [],
   "source": [
    "b = rng.random(n)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 98,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0.83498163, 0.59655403, 0.28886324, 0.04295157, 0.9736544 ])"
      ]
     },
     "execution_count": 98,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "b[:5]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 99,
   "metadata": {},
   "outputs": [],
   "source": [
    "s = (1 - b)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 100,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0.16501837, 0.40344597, 0.71113676, 0.95704843, 0.0263456 ])"
      ]
     },
     "execution_count": 100,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "s[:5]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 101,
   "metadata": {},
   "outputs": [],
   "source": [
    "def portfolio(b, s):\n",
    "    A = [b[i] * B[1] + s[i] * S[1] for i in range(n)]\n",
    "    return np.array(A)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 102,
   "metadata": {},
   "outputs": [],
   "source": [
    "A = portfolio(b, s)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 103,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[12.48516533, 10.00988978],\n",
       "       [14.63101376,  8.57932416],\n",
       "       [17.40023082,  6.73317945]])"
      ]
     },
     "execution_count": 103,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "A[:3]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 104,
   "metadata": {},
   "outputs": [
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   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(A[:, 0], A[:, 1], 'r.');"
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  },
  {
   "cell_type": "code",
   "execution_count": 105,
   "metadata": {},
   "outputs": [],
   "source": [
    "s = rng.random(n)"
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  },
  {
   "cell_type": "code",
   "execution_count": 106,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([1.36885777, 1.5863474 , 0.71245805, 0.32077672, 1.5401562 ])"
      ]
     },
     "execution_count": 106,
     "metadata": {},
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   ],
   "source": [
    "b[:5] + s[:5]"
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  },
  {
   "cell_type": "code",
   "execution_count": 107,
   "metadata": {},
   "outputs": [],
   "source": [
    "A = portfolio(b, s)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 108,
   "metadata": {},
   "outputs": [
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       "<Figure size 720x432 with 1 Axes>"
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     "metadata": {},
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   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(A[:, 0], A[:, 1], 'r.');"
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  {
   "cell_type": "code",
   "execution_count": 109,
   "metadata": {},
   "outputs": [],
   "source": [
    "b = rng.standard_normal(n)"
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  {
   "cell_type": "code",
   "execution_count": 110,
   "metadata": {},
   "outputs": [],
   "source": [
    "s = rng.standard_normal(n)"
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  {
   "cell_type": "code",
   "execution_count": 111,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([-0.23046605, -3.45760465,  1.10260637, -2.44445777,  1.05866637])"
      ]
     },
     "execution_count": 111,
     "metadata": {},
     "output_type": "execute_result"
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   "source": [
    "b[:5] + s[:5]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 112,
   "metadata": {},
   "outputs": [],
   "source": [
    "A = portfolio(b, s)"
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  },
  {
   "cell_type": "code",
   "execution_count": 113,
   "metadata": {},
   "outputs": [
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       "</svg>\n"
      ],
      "text/plain": [
       "<Figure size 720x432 with 1 Axes>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(A[:, 0], A[:, 1], 'r.');"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Martingale Measure"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 114,
   "metadata": {},
   "outputs": [],
   "source": [
    "i = (B[1][0] - B[0]) / B[0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 115,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.1"
      ]
     },
     "execution_count": 115,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "i"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 116,
   "metadata": {},
   "outputs": [],
   "source": [
    "q = (S[0] * (1 + i) - S[1][1]) / (S[1][0] - S[1][1])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 117,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0.4"
      ]
     },
     "execution_count": 117,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Risk-Neutral Pricing"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 118,
   "metadata": {},
   "outputs": [],
   "source": [
    "Q = (q, 1-q)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 119,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.8181818181818181"
      ]
     },
     "execution_count": 119,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.dot(Q, C1) / (1 + i)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Mean-Variance Portfolios"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 120,
   "metadata": {},
   "outputs": [],
   "source": [
    "B = (10, np.array((11, 11)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 121,
   "metadata": {},
   "outputs": [],
   "source": [
    "S = (10, np.array((20, 5)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 122,
   "metadata": {},
   "outputs": [],
   "source": [
    "M = np.array((B[1], S[1])).T"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 123,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[11, 20],\n",
       "       [11,  5]])"
      ]
     },
     "execution_count": 123,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "M"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 124,
   "metadata": {},
   "outputs": [],
   "source": [
    "M0 = np.array((B[0], S[0]))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 125,
   "metadata": {},
   "outputs": [],
   "source": [
    "R = M / M0 - 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 126,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([[ 0.1,  1. ],\n",
       "       [ 0.1, -0.5]])"
      ]
     },
     "execution_count": 126,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "R"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 127,
   "metadata": {},
   "outputs": [],
   "source": [
    "P = np.array((0.5, 0.5))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 128,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "array([0.1 , 0.25])"
      ]
     },
     "execution_count": 128,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "np.dot(P, R)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 129,
   "metadata": {},
   "outputs": [],
   "source": [
    "s = 0.55"
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  },
  {
   "cell_type": "code",
   "execution_count": 130,
   "metadata": {},
   "outputs": [],
   "source": [
    "phi = (1-s, s)"
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  {
   "cell_type": "code",
   "execution_count": 131,
   "metadata": {},
   "outputs": [],
   "source": [
    "mu = np.dot(phi, np.dot(P, R))"
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  {
   "cell_type": "code",
   "execution_count": 132,
   "metadata": {},
   "outputs": [
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     "execution_count": 132,
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  {
   "cell_type": "code",
   "execution_count": 133,
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   "source": [
    "sigma = s * R[:, 1].std()"
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  {
   "cell_type": "code",
   "execution_count": 134,
   "metadata": {},
   "outputs": [
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     "execution_count": 134,
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    "sigma"
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  {
   "cell_type": "code",
   "execution_count": 135,
   "metadata": {},
   "outputs": [],
   "source": [
    "values = np.linspace(0, 1, 25)"
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  {
   "cell_type": "code",
   "execution_count": 136,
   "metadata": {},
   "outputs": [],
   "source": [
    "mu = [np.dot(((1-s), s), np.dot(P, R))\n",
    "      for s in values]"
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  {
   "cell_type": "code",
   "execution_count": 137,
   "metadata": {},
   "outputs": [],
   "source": [
    "sigma = [s * R[:, 1].std() for s in values]"
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  {
   "cell_type": "code",
   "execution_count": 138,
   "metadata": {},
   "outputs": [
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   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(values, mu, lw = 3.0, label='$\\mu_p$')\n",
    "plt.plot(values, sigma, '--', lw = 3.0, label='$\\sigma_p$')\n",
    "plt.legend(loc=0)\n",
    "plt.xlabel('$s$');"
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  },
  {
   "cell_type": "code",
   "execution_count": 139,
   "metadata": {},
   "outputs": [
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   "source": [
    "plt.figure(figsize=(10, 6))\n",
    "plt.plot(sigma, mu, lw = 3.0, label='risk-return')\n",
    "plt.legend(loc=0)\n",
    "plt.xlabel('$\\sigma_p$')\n",
    "plt.ylabel('$\\mu_p$');"
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   "metadata": {},
   "source": [
    "<img src=\"http://hilpisch.com/tpq_logo.png\" alt=\"The Python Quants\" width=\"35%\" align=\"right\" border=\"0\"><br>\n",
    "\n",
    "<a href=\"http://tpq.io\" target=\"_blank\">http://tpq.io</a> | <a href=\"http://twitter.com/dyjh\" target=\"_blank\">@dyjh</a> | <a href=\"mailto:training@tpq.io\">training@tpq.io</a>"
   ]
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